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@@ -113,6 +113,7 @@ pub fn generate_msv_by_trades(mut trades: Vec<Trade>, mills_back: Decimal, simpl
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let mut fair_price_simulation_ema = Decimal::ZERO;
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const GAMMA: Decimal = dec!(0.5);
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+ let gamma_fair: Decimal = Decimal::ONE / Decimal::from_i64(trades.len().to_i64().unwrap() / (end_time - start_time)).unwrap();
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// ================== 计算每个点的具体波动率以及回溯幅度 ===================
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trades.sort_by(|a, b| Decimal::from_str(a.id.as_str()).unwrap().cmp(&Decimal::from_str(b.id.as_str()).unwrap()));
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@@ -201,7 +202,7 @@ pub fn generate_msv_by_trades(mut trades: Vec<Trade>, mills_back: Decimal, simpl
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fair_price_simulation_ema = if fair_price_simulation_ema.is_zero() {
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fair_price
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} else {
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- fair_price_simulation_ema * dec!(0.999967) + fair_price * dec!(0.000033)
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+ fair_price_simulation_ema * (Decimal::ONE - gamma_fair) + fair_price * gamma_fair
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};
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// ==================== 波动逻辑计算 ====================
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